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Volume :35 Issue : 4 2007      Add To Cart                                                                    Download

Testing the Market Efficiency Hypothesis Using the Strategies of the Value and Growth

Auther : Bahjat Al-jawazneh / Mohammad Harahasheh

The objective of this study is to test the verity of the efficiency of the stock market Hypothesis, which reflects information coming to the market quickly, without achieving abnormal profits when using the basic analysis tools which include using the strategies of value and growth and other strategies. The supporters of these strategies believe that it is possible to predict the investment performance for stocks, and subsequently, portfolios formed of these stocks. The results have found a highly statistical significance for the monthly returns of the value and growth portfolios according to the classification criteria used in the study. Moreover, the surpassing of value portfolio performance on the growth portfolio, and also the results have alluded to the significance of the independent variables used in the model of the study. The exception is the size of the market, which doesn>t differ statistically from zero, meaning that the stocks> prices don>t respond to the effect of the size in Amman Stock Exchange. Therefore, the results of this study confirm the possibility of achieving abnormal returns by using the strategy of the value and growth and refute the supposition of the efficiency which reflects the incoming information to the market.

Key words: Market efficiency, Value strategy, Growth strategy, Portfolios

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Aug 09, 2020

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